sergshabal/VolArbitrage

High Performance Cross Platform Volatility Arbitrage Infrastructure and Recommendation Engine Developed in Go.

VolArbitrage

Feature Set

- High Performance Volatility Arbitrage Infrastructure
- Cross Platform GUI

Black Scholes Model

- Implied Volatility
- Risk Neutral Price
- First Order Greeks
- Second Order Greeks
- Third Order Greeks

Variance Risk Premium Screener

- Historical Volatility Metrics
- Implied Volatility Metrics
- Variance Risk Premium Metrics

Monte Carlo Simulation

- Heston Volatility

Alpha Generation

- Statistical Arbitrage
- Volatility Arbitrage

Numerical Methods

Integrals:
- Adaptive Trapezoid 
- Adaptive Simpson 
- Adaptive Boole

Optimization:
- Newton Method
- Halley Method 
- Householder Method